Exponential decay rate of partial autocorrelation coefficients of ARMA and short-memory processes

Akimichi Takemura

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arXiv · 1511.07091

Exponential decay rate of partial autocorrelation coefficients of ARMA and short-memory processes

Akimichi Takemura

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Abstract

We present a short proof of the fact that the exponential decay rate of partial autocorrelation coefficients of a short-memory process, in particular an ARMA process, is equal to the exponential decay rate of the coefficients of its infinite autoregressive representation.

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Akimichi Takemura. 2016-01-04. Exponential decay rate of partial autocorrelation coefficients of ARMA and short-memory processes. https://arxiv.org/abs/1511.07091

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